An Estimated Dsge Model For Integrated Policy Analysis
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An Estimated Dsge Model For Integrated Policy Analysis
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Author : Kaili Chen
language : en
Publisher: International Monetary Fund
Release Date : 2023-06-30
An Estimated Dsge Model For Integrated Policy Analysis written by Kaili Chen and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-06-30 with Business & Economics categories.
We estimate a New Keynesian small open economy model which allows for foreign exchange (FX) market frictions and a potential role for FX interventions for a large set of emerging market economies (EMEs) and some inflation targeting (IT) advanced economy (AE) countries serving as a control group. Next, we use the estimated model to examine the empirical support for the view that interest rate policy may not be sufficient to stabilize output and inflation following capital outflow shocks, and the extent to which FX interventions (FXI) can improve policy tradeoffs. Our results reveal significant structural differences between AEs and EMEs—in particular FX market depth—leading to different transmission of capital outflow shocks which justifies occasional use of FXI in some EMEs in certain situations. Our analysis also highlights the critical importance of accounting for the endogeneity of FXI behavior when assessing FX market depth and policy tradeoffs associated with volatile capital flows in past episodes.
A Medium Scale Dsge Model For The Integrated Policy Framework
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Author : Mr. Tobias Adrian
language : en
Publisher: International Monetary Fund
Release Date : 2022-01-28
A Medium Scale Dsge Model For The Integrated Policy Framework written by Mr. Tobias Adrian and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-01-28 with Business & Economics categories.
This paper jointly analyzes the optimal conduct of monetary policy, foreign exchange intervention, fiscal policy, macroprudential policy, and capital flow management. This policy analysis is based on an estimated medium-scale dynamic stochastic general equilibrium (DSGE) model of the world economy, featuring a range of nominal and real rigidities, extensive macrofinancial linkages with endogenous risk, and diverse spillover transmission channels. In the pursuit of inflation and output stabilization objectives, it is optimal to adjust all policies in response to domestic and global financial cycle upturns and downturns when feasible—including foreign exchange intervention and capital flow management under some conditions—to widely varying degrees depending on the structural characteristics of the economy. The framework is applied empirically to four small open advanced and emerging market economies.
An Estimated Dsge Model For Monetary Policy Analysis In Low Income Countries
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Author : Shanaka J. Peiris
language : en
Publisher: International Monetary Fund
Release Date : 2007
An Estimated Dsge Model For Monetary Policy Analysis In Low Income Countries written by Shanaka J. Peiris and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Business & Economics categories.
This paper evaluates monetary policy-tradeoffs in low-income countries using a dynamic stochastic general equilibrium (DSGE) model estimated on data for Mozambique taking into account the sources of major exogenous shocks, and level of financial development. To our knowledge this is a first attempt at estimating a DSGE model for Sub-Saharan Africa excluding South Africa. Our simulations suggests that a exchange rate peg is significantly less successful than inflation targeting at stabilizing the real economy due to higher interest rate volatility, as in the literature for industrial countries and emerging markets.
Natural Rate Measures In An Estimated Dsge Model Of The U S Economy
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Author : Rochelle Mary Edge
language : en
Publisher:
Release Date : 2007
Natural Rate Measures In An Estimated Dsge Model Of The U S Economy written by Rochelle Mary Edge and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with United States categories.
Toward An Integrated Policy Framework
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Author : International Monetary Fund
language : en
Publisher: INTERNATIONAL MONETARY FUND
Release Date : 2020-10-08
Toward An Integrated Policy Framework written by International Monetary Fund and has been published by INTERNATIONAL MONETARY FUND this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-10-08 with Business & Economics categories.
Policymakers often face difficult tradeoffs in pursuing domestic and external stabilization objectives. The paper reflects staff’s work to advance the understanding of the policy options and tradeoffs available to policymakers in a systematic and analytical way. The paper recognizes that the optimal path of the IPF tools depends on structural characteristics and fiscal policies. The operational implications of IPF findings require careful consideration. Developing safeguards to minimize the risk of inappropriate use of IPF policies will be essential. Staff remains guided by the Fund’s Institutional View (IV) on the Liberalization and Management of Capital Flows.
The Global Multi Country Model Gm
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Author :
language : en
Publisher:
Release Date : 2019
The Global Multi Country Model Gm written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
This paper introduces the Global Multi-country (GM) model, an estimated multi-country Dynamic Stochastic General Equilibrium (DSGE) model of the world economy. We present the model in 3-region configurations for Euro area (EA) countries that include an individual EA Member State, the rest of the EA (REA), and the rest of the world (RoW). We provide and compare estimates of this model structure for the four largest EA countries (Germany, France, Italy, and Spain). The novelty of the paper is the estimation of ex-ante identical country models on the basis of a unified information set, which allows for clean crosscountry comparison of parameter estimates and drivers of economic dynamics. The paper also provides an overview of applications of the GM model such as the structural interpretation of business cycle dynamics, the contribution to the European Commission's economic forecast, the scenario analysis and policy counterfactuals.
A Quantitative Model For The Integrated Policy Framework
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Author : Mr.Tobias Adrian
language : en
Publisher: International Monetary Fund
Release Date : 2020-07-07
A Quantitative Model For The Integrated Policy Framework written by Mr.Tobias Adrian and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-07-07 with Business & Economics categories.
Many central banks have relied on a range of policy tools, including foreign exchange intervention (FXI) and capital flow management tools (CFMs), to mitigate the effects of volatile capital flows on their economies. We develop an empirically-oriented New Keynesian model to evaluate and quantify how using multiple policy tools can potentially improve monetary policy tradeoffs. Our model embeds nonlinear balance sheet channels and includes a range of empirically-relevant frictions. We show that FXI and CFMs may improve policy tradeoffs under certain conditions, especially for economies with less well-anchored inflation expectations, substantial foreign currency mismatch, and that are more vulnerable to shocks likely to induce capital outflows and exchange rate pressures.
Assessing Dsge Models With Capital Accumulation And Indeterminacy
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Author : Mr.Vadim Khramov
language : en
Publisher: International Monetary Fund
Release Date : 2012-03-01
Assessing Dsge Models With Capital Accumulation And Indeterminacy written by Mr.Vadim Khramov and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-03-01 with Business & Economics categories.
The simulated results of this paper show that New Keynesian DSGE models with capital accumulation can generate substantial persistencies in the dynamics of the main economic variables, due to the stock nature of capital. Empirical estimates on U.S. data from 1960:I to 2008:I show the response of monetary policy to inflation was almost twice lower than traditionally considered, as capital accumulation creates an additional channel of influence through real interest rates in the production sector. Versions of the model with indeterminacy empirically outperform determinate versions. This paper allows for the reconsideration of previous findings and has significant monetary policy implications.
Post Walrasian Macroeconomics
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Author : David Colander
language : en
Publisher: Cambridge University Press
Release Date : 2006-07-17
Post Walrasian Macroeconomics written by David Colander and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-07-17 with Business & Economics categories.
Macroeconomics is evolving in an almost dialectic fashion. The latest evolution is the development of a new synthesis that combines insights of new classical, new Keynesian and real business cycle traditions into a dynamic, stochastic general equilibrium (DSGE) model that serves as a foundation for thinking about macro policy. That new synthesis has opened up the door to a new antithesis, which is being driven by advances in computing power and analytic techniques. This new synthesis is coalescing around developments in complexity theory, automated general to specific econometric modeling, agent-based models, and non-linear and statistical dynamical models. This book thus provides the reader with an introduction to what might be called a Post Walrasian research program that is developing as the antithesis of the Walrasian DSGE synthesis.
Technology Shocks And Aggregate Fluctuations
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Author : Mr.Pau Rabanal
language : en
Publisher: International Monetary Fund
Release Date : 2004-12-01
Technology Shocks And Aggregate Fluctuations written by Mr.Pau Rabanal and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-12-01 with Business & Economics categories.
Our answer: Not so well. We reached that conclusion after reviewing recent research on the role of technology as a source of economic fluctuations. The bulk of the evidence suggests a limited role for aggregate technology shocks, pointing instead to demand factors as the main force behind the strong positive comovement between output and labor input measures.